The Review of Asset Pricing Studies, Volume 7, Issue 2, 1 December 2017

股票长期收益率对被加入或者踢出标普500指数的反应

作者：Peter Carr (Tandon School of Engineering, New York University)

Liuren Wu( Zicklin School of Business, Baruch College)

摘要：我们的论文利用1979-2015年期间的全样本，检验了长期超额收益率对股票被加入或者踢出标普500指数的反应。目前文献中关于较长时间窗口收益率的描述不仅缺乏恰当的细节处理，同时欠缺横截面的分析💌。通过研究发现，有确凿的证据表明反转出现在21世纪初。当股票被加入或者踢出标普500指数不再对投资者对股票的市场需求产生永久性的改变。

关键词🙏🏻：信息和市场效率🩰🪯、时间研究、内部交易

Extended Stock Returns in Response to S&P 500 Index Changes

Nimesh Patel (UCLA Anderson Graduate School of Management)

Ivo Welch (UCLA Anderson Graduate School of Management

ABSTRACT

Our paper investigates extended abnormal returns for S&P 500 index changes in a comprehensive 1979-2015 sample. The literature’s depiction of longer window returns lacked both appropriate nuance and cross-sectional analysis. Solid evidence for reversion appears in the 2000s. Stocks no longer experience permanent shifts in investor demand when they are either added to or removed from the S&P 500.

原文链接: https://academic.oup.com/raps/articleabstract/7/2/172/3787841?redirectedFrom=fulltext

翻译：汪国颂